WILSHIRE ASSOCIATES

W i l s h i r e C o n s u l t i n g

WILSHIRE ASSOCIATES

December 31, 2018

Executive Summary of Investment Performance

T h e C i t y o f G r a n d R a p i d s – G e n e r a l R e t i r e m e n t S y s t e m

©2019 Wilshire Associates.


Contents

Capital Market Review Tab 1

Investment Performance Tab 2

Appendix

CAPITAL MARKET REVIEW


U.S. Equity

The U.S. stock market was down -14.3% for the

fourth quarter of 2018. This marks the worst

quarter for U.S. equities since 2011 and the first

down year since the credit crisis sell-off of 2008.

Concerns of an economic slowdown weighed on

stock prices as did fears that additional rate

increases by the Federal Reserve could weaken

future prospects for economic growth.

The yield curve ended 2018 with a very unusual

shape – which will likely be a source of debate if

it persists, largely focusing on the Fed’s

December rate hike. Some fear that it could be

enough to slow the economy and are therefore

selling shorter-term bonds, pushing rates higher.

Others highlight the fact that the Fed’s mandate

focuses on both growth and inflation and that a

0.25% increase is not likely to stop the U.S.

economy cold. Ultimately, the Fed makes their

final decisions based on all available data and

can decide to adjust their course of action.


MARKET COMMENTARY

Non-U.S. Equity

Equity markets outside of the U.S. suffered

during the quarter, although they generally

outperformed U.S. equity. While the EU began

the year in sound economic condition, growth

declined steadily while gains in unemployment

stalled and industrial production reversed

course. While there were some positive signals

on U.S.-China trade, investors will likely wait until

a scheduled meeting in January before fully

evaluating the current global trade environment.

Fixed Income

The U.S. Treasury yield curve fell across most

maturities with the 10-year Treasury yield at

2.69%, down 37 basis points. The Federal Open

Market Committee increased its overnight rate

by 25 basis points but adjusted downward their

forecast for future rates. Credit spreads widened

during the quarter within both the investment

grade and high yield markets.

4



ASSET CLASS PERFORMANCE

Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada

ANNUALIZED

5-YEAR

2013 2014 2015 2016 2017 2018 YTD AS OF 12/2018

U.S. Equity REITs REITs MLPs Emrg Mrkts T-Bills U.S. Equity

33.1% 31.8% 4.2% 18.3% 37.7% 1.9% 8.1%

MLPs U.S. Equity U.S. Equity High Yield Developed Core Bond REITs

27.6% 12.7% 0.7% 17.1% 25.6% 0.0% 7.9%

Developed Core Bond Core Bond U.S. Equity U.S. Equity U.S. TIPS High Yield

23.3% 6.0% 0.6% 13.4% 21.0% -1.3% 3.8%

High Yield MLPs T-Bills Commodities High Yield High Yield Core Bond

7.4% 4.8% 0.1% 11.8% 7.5% -2.1% 2.5%

REITs U.S. TIPS Developed Emrg Mrkts REITs REITs Emrg Mrkts

1.9% 3.6% -0.4% 11.6% 4.2% -4.8% 2.0%

T-Bills High Yield U.S. TIPS REITs Core Bond U.S. Equity U.S. TIPS

0.1% 2.5% -1.4% 7.2% 3.6% -5.3% 1.7%

Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS Commodities Developed

-2.0% 0.0% -4.5% 4.7% 3.0% -11.2% 1.0%

Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities MLPs T-Bills

-2.3% -1.8% -14.6% 2.6% 1.7% -12.4% 0.6%

U.S. TIPS Developed Commodities Developed T-Bills Developed MLPs

-8.6% -4.5% -24.7% 1.5% 0.8% -13.4% -7.3%

Commodities Commodities MLPs T-Bills MLPs Emrg Mrkts Commodities

-9.5% -17.0% -32.6% 0.3% -6.5% -14.2% -8.8%

ASSET CLASS RETURNS - BEST TO WORST

5



YEAREND ENVIRONMENT

Note: U.S. Stocks (Wilshire 5000 Total market Index), Non-U.S. Stocks (MSCI ACWI x-U.S.), Core Bonds (Bloomberg Barclays Aggregate).

1Q-18 2Q-18 3Q-18 4Q-18

2018

Calendar

Year

2019

Calendar

YTD

U.S. Equity

Market

Peak-Trough

Since U.S.

Equity Market

Bottom

U.S. Stocks -0.8 3.8 7.4 -14.3 -5.3 9.2 -20.2 16.5

Non-U.S. Stocks -1.2 -2.6 0.7 -11.5 -14.2 6.1 -12.6 7.5

Core Bonds -1.5 -0.2 0.0 1.6 0.0 1.1 1.6 1.4

Peak Trough

0

5

10

15

20

25

30

35

40

100

105

110

115

120

125

130

135

140

01/0

2/1

8

01/2

3/1

8

02/1

3/1

8

03/0

6/1

8

03/2

7/1

8

04/1

7/1

8

05/0

8/1

8

05/2

9/1

8

06/1

9/1

8

07/1

0/1

8

07/3

1/1

8

08/2

1/1

8

09/1

1/1

8

10/0

2/1

8

10/2

3/1

8

11/1

3/1

8

12/0

4/1

8

12/2

5/1

8

01/1

5/1

9

02/0

5/1

9

VIX

Wils

hir

e 5

000 I

ndex L

evel

Equity Market Performance & Volatility

Equity Volatility (VIX) (RHS) W5000 (LHS)

Peak-to-Trough

Performance: -20.2%

Sep. 20 through Dec. 24

As of Feb. 11, 2019

6



DECEMBER 2018 ASSET CLASS

ASSUMPTIONS

DEV EMG GLOBAL LT NON-US

US EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL US

STOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPI

EXPECTED COMPOUND RETURN (%) 7.00 7.50 7.50 7.75 7.45 10.05 2.65 3.85 4.25 3.00 5.90 1.25 5.65 5.85 6.65 4.35 6.40 1.70

EXPECTED ARITHMETIC RETURN (%) 8.30 8.95 10.45 9.35 8.75 13.35 2.65 4.00 4.70 3.15 6.35 1.30 7.00 7.00 7.55 5.40 6.75 1.70

EXPECTED RISK (%) 17.00 18.00 26.00 18.80 17.05 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.75 1.75

CASH YIELD (%) 2.15 3.50 2.50 3.25 2.65 0.00 2.65 4.05 5.00 3.55 8.95 1.80 4.40 4.40 2.70 2.65 3.00 0.00

CORRELATIONS

US STOCK 1.00

DEV EX-US STOCK (USD) 0.81 1.00

EMERGING MARKET STOCK 0.74 0.74 1.00

GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00

GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00

PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00

CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00

CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00

LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00

US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00

HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00

NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.66 0.39 0.26 1.00

US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00

GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00

PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00

COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00

REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00

INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00

REAL ESTATE

EQUITY FIXED INCOME REAL ASSETS

7



ECONOMIC REVIEW

Data sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis

AS OF DEC. 31, 2018

CPI (ALL ITEMS)

SEASONALLY ADJUSTED Dec-18 -0.1 3-Mo. 0.3

Nov-18 0.0 12-Mo. 1.9

Oct-18 0.3 10-Yr. (Annual) 1.8

BREAKEVEN INFLATION 10-Yr. 1.7

CONSUMER SENTIMENT Dec-18 98.3

U. OF MICHIGAN SURVEY Nov-18 97.5

1-Yr. Ago 95.9 10-Yr. Avg 82.5

MANUFACTURING Dec-18 54.1

INST. FOR SUPPLY MGMT Nov-18 59.3 >50 Expansion

PURCHASING MNGRS' IDX 1-Yr. Avg. 58.8 <50 Contraction

Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity.

September/2018 CPI is based on Federal Reserve of Philadelphia Survey of Professional Forecasters

MONTHLY CHANGE CUMULATIVE CHANGE

KEY ECONOMIC INDICATORS

CHANGE IN SECTOR

Real GDP

Consumer Spending

$(15,000)

$(10,000)

$(5,000)

$-

$5,000

$10,000

$15,000

$20,000

-7.5%

-5.0%

-2.5%

0.0%

2.5%

5.0%

7.5%

10.0%

Quart

erly G

DP (

$bil)

Annualized G

row

th

CHANGES IN REAL GDP (2012 BASE YEAR)

Annualized Change in Real GDP Private Investment Series9 Government Spending

(5.0)

-

5.0

10.0

15.0

(200)

(100)

-

100

200

300

400

Unem

plo

ym

ent

Rate

(%

)

Job G

row

th/L

oss (

thou)

UNEMPLOYMENT RATE AND JOB GROWTH/LOSS

Job Growth (Loss) Unemployment Rate

8


Text


RISK MONITOR

Data sources: Federal Reserve, Bloomberg Barclays

Text

Text Text

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

10-Y

ear

Tre

asury

-3-M

onth

TBill (%

)

YIELD CURVE SLOPE VS RECESSIONS (IN GRAY)

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Options A

dju

ste

d S

pre

ad (

%)

BLOOMBERG BARCLAYS CREDIT INDEXES

Investment Grade

High Yield

< — Investment Grade High Yield — >

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

Mark

et

Str

ess R

ela

tive t

o A

vera

ge (

Zero

)

ST. LOUIS FED FINANCIAL STRESS INDEX

Constructed from seven interest rate series, six yield spreads and five other financial stress indicators.0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

30-D

ay E

xpecte

d V

ola

tility

(%

)

CBOE VOLATILITY INDEX

9



U.S. EQUITY MARKET

Data sources: Wilshire Compass, Wilshire Atlas

AS OF DECEMBER 31, 2018 QTR YTD 1 YR 3 YR 5 YR 10 YR

WILSHIRE 5000 INDEX -14.3 -5.3 -5.3 9.1 8.1 13.2

WILSHIRE U.S. LARGE CAP -13.7 -4.6 -4.6 9.3 8.5 13.1

WILSHIRE U.S. SMALL CAP -19.7 -10.8 -10.8 7.4 4.7 13.9

WILSHIRE U.S. LARGE GROWTH -16.8 -3.6 -3.6 10.3 9.6 14.6

WILSHIRE U.S. LARGE VALUE -10.8 -5.9 -5.9 8.1 7.2 11.6

WILSHIRE U.S. SMALL GROWTH -20.6 -9.7 -9.7 8.1 4.5 14.7

WILSHIRE U.S. SMALL VALUE -18.7 -12.0 -12.0 6.5 4.7 12.9

WILSHIRE REIT INDEX -6.9 -4.8 -4.8 2.1 7.9 12.2

MSCI USA MIN. VOL. INDEX -7.7 0.9 0.9 9.5 9.8 12.6

FTSE RAFI U.S. 1000 INDEX -13.8 -8.3 -8.3 7.9 6.6 14.1-5.3

-16.6

4.3

-4.4

-19.4

-8.3

-13.9

-14.3

-1.6

-13.0

5.4

0.7

-14.3

-14.5

0.8

-6.2

-25.6

-5.5

-13.3

-18.2

-16.5

-13.7

-10.8

-17.5

Wilshire 5000

Materials

Utilities

Real Estate

Energy

Consumer Staples

Communication Services

Industrials

Consumer Discretionary

Financials

Health Care

Information Technology

2.6%

3.4%

4.2%

4.9%

7.0%

9.2%

9.9%

10.4%

14.3%

14.4%

19.8%

WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)

4th Quarter 1-Year

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Larg

e C

ap in e

xcess o

f Sm

all C

ap

LARGE CAP VS SMALL CAP

QTD Excess Return Rolling 3-Year Excess Return

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Gro

wth

in e

xcess o

f Valu

e

GROWTH VS VALUE

QTD Excess Return Rolling 3-Year Excess Return

10


• 2018 was the first down year for the Wilshire 5000 Index since the global financial crisis

• While it was the mildest negative return in two decades, the market briefly entered a technical bear

market (-20%) in late December


ANNUAL EQUITY RETURNS

24 24

-11 -11

-21

32

13

6

16

6

-37

28

17

1

16

33

13

1

13

21

-5

-22

-12

-21

-29-32

-13

-8 -7 -8 -10

-49

-27

-16-20

-10

-6-7

-12 -11

-3

-20

-60

-50

-40

-30

-20

-10

0

10

20

30

40

WILSHIRE 5000 INDEXWORST INTRA-PERIOD SELLOFF VS ANNUAL RETURN (%)

Annual Return Largest Selloff 11


• Volatility returned to the equity markets

after a tranquil 2017

• Investor concerns included monetary

tightening, global trade and future

economic growth


EQUITY VOLATILITY

Since

1980 Year 1% 2% 3% 4%

Max Risk 40.56% -48.54% 71 42 24 17 -17.23%

Avg 15.48% -13.97% 28.2 7.7 2.3 1.0 -4.00%

Med 13.33% -9.95% 23.0 4.0 1.0 0.0 -3.34%

Min Risk 6.96% -2.74% 3 0 0 0 -1.36%

Level 6.96% -2.75% 4 0 0 0 -1.85%

Rank 1 2 2 1 1 1 7

Level 16.86% -20.18% 32 15 5 1 -4.02%

Rank 29 31 25 33 32 27 27

The "Rank" s tatis tics reflect ordinal rankings among 39 annual observations (i .e. ranks shown are X of 39)

2018

2017

Universe

Statistics

Annual

Volatility

Largest

Drawdown

Number of Days Down: Worst

Down Day

0%

5%

10%

15%

20%

25%

30%

35%

Wilshire 5000 Index: 20-Day Rolling Risk

12


Highest quality names produced a positive return for the year but are among the lowest weight within

the broad market


RETURNS BY QUALITY SEGMENT

Data sources: Wilshire Atlas

(25.00)

(20.00)

(15.00)

(10.00)

(5.00)

-

5.00

4Q 18 YTD 2018

Tota

l Retu

rn (

%)

RETURN BY S&P QUALITY RATING

A+ A A- B+ B B- C / D

A+ 6%

A 8%

A- 13%

B+ 31%

B 15%

B- 9%

C / D 4%

N.A. 14%

Segment Weights

as of September 30

13


Text


NON-U.S. GROWTH AND INFLATION

Data sources: Bloomberg

Text

Text Text

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

DEVELOPED MARKETS REAL GDP GROWTH YoY (%)

USA Eurozone Japan UK

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

EMERGING MARKETS REAL GDP GROWTH YoY (%)

China India Brazil Russia South Korea

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

DEVELOPED MARKETS CPI GROWTH YoY (%)

USA Eurozone Japan UK

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

EMERGING MARKETS CPI GROWTH YoY (%)

China India Brazil Russia South Korea

14



NON-U.S. EQUITY MARKET

Data sources: Wilshire Compass


MSCI ACWI EX-US ($G) -11.4 -13.8 -13.8 5.0 1.1 7.1

MSCI EAFE ($G) -12.5 -13.4 -13.4 3.4 1.0 6.8

MSCI EMERGING MARKETS ($G) -7.4 -14.2 -14.2 9.6 2.0 8.4

MSCI FRONTIER MARKETS ($G) -4.3 -16.2 -16.2 4.6 1.1 5.4

MSCI ACWI EX-US GROWTH ($G) -12.2 -14.1 -14.1 4.6 2.1 7.5

MSCI ACWI EX-US VALUE ($G) -10.6 -13.4 -13.4 5.4 0.2 6.6

MSCI ACWI EX-US SMALL ($G) -14.4 -17.9 -17.9 4.4 2.4 10.5

MSCI ACWI MINIMUM VOLATILITY -6.5 -1.0 -1.0 8.3 7.9 10.5

MSCI EAFE MINIMUM VOLATILITY -7.3 -5.2 -5.2 4.5 5.4 8.1

FTSE RAFI DEVELOPED EX-US -12.8 -14.5 -14.5 4.9 0.9 7.3

MSCI EAFE LC (G) -12.2 -10.5 -10.5 3.1 4.3 8.0

-13.4

-10.4

-8.2

-21.8

-11.9

-14.0

-12.6

-12.5

-9.6

-8.9

-15.6

-15.0

-11.7

-14.2

MSCI EAFE

Australia

Switzerland

Germany

France

United Kingdom

Japan

6.9%

8.7%

8.8%

11.1%

16.9%

24.6%

MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)

4th Quarter 1-Year

-14.2

-24.0

-0.6

-7.3

-8.2

-20.7

-18.7

-7.4

-3.6

13.6

2.5

-13.8

-12.9

-10.7

MSCI Emrg Mrkts

South Africa

Brazil

India

Taiwan

South Korea

China

6.2%

7.5%

9.4%

11.4%

13.8%

30.4%

MSCI EM: LARGEST COUNTRIES & RETURN (USD)

4th Quarter 1-Year

15



U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

Securitized IG Corporate Aa Corporate High Yield

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

0 5 10 15 20 25 30

Yie

ld (

%)

Maturity (yrs)

TREASURY YIELD CURVE

Current Quarter Previous Quarter One Year Ago

AS OF DECEMBER 31, 2018 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS AGGREGATE 3.3 5.9 1.6 0.0 0.0 2.1 2.5 3.5

BLOOMBERG BARCLAYS TREASURY 2.6 6.1 2.6 0.9 0.9 1.4 2.0 2.1

BLOOMBERG BARCLAYS GOV'T-REL. 3.4 5.3 1.2 0.3 0.3 2.4 2.6 2.9

BLOOMBERG BARCLAYS SECURITIZED 3.4 4.7 2.0 1.0 1.0 1.8 2.5 3.4

BLOOMBERG BARCLAYS CORPORATE 4.2 7.1 -0.2 -2.5 -2.5 3.3 3.3 5.9

BLOOMBERG BARCLAYS LT G/C 4.1 15.0 0.8 -4.7 -4.7 4.0 5.4 5.9

BLOOMBERG BARCLAYS LT TREASURY 3.0 17.4 4.2 -1.8 -1.8 2.6 5.9 4.1

BLOOMBERG BARCLAYS LT GOV't-REL. 4.6 11.8 0.0 -3.2 -3.2 4.7 5.6 5.7

BLOOMBERG BARCLAYS LT CORP. 4.9 13.5 -1.8 -7.2 -7.2 4.9 5.0 7.6

BLOOMBERG BARCLAYS U.S. TIPS * 2.7 7.6 -0.4 -1.3 -1.3 2.1 1.7 3.6

BLOOMBERG BARCLAYS HIGH YIELD 8.0 4.0 -4.5 -2.1 -2.1 7.2 3.8 11.1

TREASURY BILLS 2.5 0.25 0.6 1.9 1.9 1.0 0.6 0.4

* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index

16


• Federal Reserve began their balance sheet normalization program during October 2017; targeting

$10B in reductions per month while increasing to $50B per month in Q4 2018

• Generally on pace with their initial plan, the Federal Reserve has reduced their total assets by $406

billion through mid-January 2019


FEDERAL RESERVE

Data sources: Federal Reserve

$-

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)

U.S. Treasuries Mortgage-backed Securities Other Original Forecast

January 2019

17



NON-U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis


DEVELOPED MARKETS

BLMBRG BRCLYS GLBL AGGREGATE xUS 0.9 -2.1 -2.1 3.2 0.0 1.7

BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.9 3.2 3.2 3.5 4.1 4.0

BLMBRG BRCLYS GLOBAL INF LNKD xUS -1.1 -5.9 -5.9 3.1 1.0 3.8

BLMBRG BRCLYS GLOBAL INF LNKD xUS * 1.4 1.3 1.3 6.2 6.3 5.8

EMERGING MARKETS (HARD CURRENCY)

BLMBRG BRCLYS EM USD AGGREGATE -0.2 -2.5 -2.5 5.0 4.2 8.5

EMERGING MARKETS (FOREIGN CURRENCY)

BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.5 -3.4 -3.4 5.3 0.5 4.1

BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 2.6 2.7 2.7 3.2 2.9 3.2

EURO vs. DOLLAR -1.6 -4.8 -4.8 1.7 -3.7 -2.0

YEN vs. DOLLAR 3.5 2.7 2.7 3.1 -0.9 -1.9

POUND vs. DOLLAR -2.3 -5.9 -5.9 -4.7 -5.1 -1.2

* Returns are reported in terms of local market investors, w hich removes currency effects.

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Yie

ld t

o W

ors

t (%

)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

U.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

0

10

20

30

40

50

60

70

80

90

100

Rollin

g 1

-Year

Retu

rn

Index L

evel

U.S. DOLLAR INDEX: MAJOR CURRENCIES

Index Level Rolling 1-Year Return

18



GLOBAL INTEREST RATES

Data sources: Organization for Economic Co-operation and Development

Negative short-term rates remain in Europe; Long rates jumped in Italy during the quarter

Germany

Japan

France

United Kingdom

Canada

Australia

Italy

Spain

South Korea

Portugal

U.S.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

-1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00

Long-T

erm

/ 1

0-Y

ear

Yie

lds (

%)

Short-Term / 3-Month Yields (%)

GOVERNMENT BOND YIELDS

19



HIGH YIELD BOND MARKET

Data sources: Wilshire Compass, Bloomberg Barclays


BLOOMBERG BARCLAYS HIGH YIELD -4.5 -2.1 -2.1 7.2 3.8 11.1

CREDIT SUISSE LEVERAGED LOAN -3.1 1.1 1.1 5.0 3.3 8.3

HIGH YIELD QUALITY DISTRIBUTION WEIGHT

Ba U.S. HIGH YIELD 46.1% -2.9 -2.4 -2.4 5.7 4.3 10.2

B U.S. HIGH YIELD 39.7% -4.4 -1.3 -1.3 6.8 3.3 9.7

Caa U.S. HIGH YIELD 13.3% -9.3 -3.8 -3.8 11.7 3.9 13.9

Ca to D U.S. HIGH YIELD 0.6% -24.1 -1.3 -1.3 27.2 -11.2 7.4

Non-Rated U.S. HIGH YIELD 0.2% -1.7 1.2 1.2 5.3 -0.5 6.9

0

500

1,000

1,500

2,000

2,500

3,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS HIGH YIELD INDEXES

HY Index Ba B Caa

20



REAL ASSETS

Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries


BLOOMBERG BARCLAYS U.S. TIPS -0.4 -1.3 -1.3 2.1 1.7 3.6

BLOOMBERG COMMODITY INDEX -9.4 -11.2 -11.2 0.3 -8.8 -3.8

WILSHIRE GLOBAL RESI INDEX -6.1 -5.4 -5.4 3.3 6.1 11.6

NCREIF ODCE FUND INDEX 1.8 8.3 8.3 8.2 10.4 7.0

NCREIF TIMBERLAND INDEX 1.0 3.4 3.4 3.2 5.0 3.8

ALERIAN MLP INDEX (OIL & GAS) -17.3 -12.4 -12.4 -1.1 -7.3 9.6

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Curr

ent

Yie

ld

Curr

ent

Cap R

ate

REAL ESTATE VALUATION

NPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Retu

rn (

%)

NCREIF ODCE FUND INDEX RETURN

Appreciation Income Total Return

21

APPENDIX: PRIVATE

MARKETS UPDATE


W i l s h i r e P r i v a t e M a r k e t s

PRIVATE EQUITY – FUNDRAISING &

INVESTMENT ACTIVITY

Source: Preqin, as of December 31, 2018.

0

100

200

300

400

500

600

700

800

900

$0

$50

$100

$150

$200

$250

$300

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

2013 2014 2015 2016 2017 2018

No

. o

f F

un

ds

Ag

gre

ga

te D

ea

l V

alu

e (

$B

)

Global Quarterly Private Capital Fundraising (Q1 2013 – Q4 2018)

Aggregate Capital Raised ($bn) No. of Funds Closed

-50

150

350

550

750

950

1,150

1,350

$0

$20

$40

$60

$80

$100

$120

$140

$160

$180

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

2013 2014 2015 2016 2017 2018

No

. o

f D

ea

ls

Ag

gre

ga

te D

ea

l V

alu

e (

$B

)

Global Annual Private Equity-Backed Buyout Activity (Q1 2013 – Q4 2018)

Aggregate Deal Value ($B) No. of Deals

23



PRIVATE EQUITY – PRICING &

VALUATIONS

Source: S&P LBO; PitchBook, *as of December 31, 2018.

6.0x 6.6x 7.1x7.3x

8.4x 8.4x

9.7x

9.1x

7.7x

8.5x8.8x 8.7x 8.8x

9.7x10.3x 10.0x

10.6x 10.6x

0x

2x

4x

6x

8x

10x

12x

2001

2002

2003

20

04

2005

2006

2007

2008

20

09

2010

2011

2012

2013

2014

2015

2016

2017

*201

8

LBO Purchase Price Multiples (2001 - Q4 2018)

$0

$50

$100

$150

$200

$250

$300

$350

$0

$10

$20

$30

$40

$50

$60

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018*

Se

rie

s C

, &

D+

An

ge

l/S

ee

d, S

eri

es

A, &

B

Venture Capital Pre-Money Valuations ($M) (2006 - Q4 2018)

Angel/Seed Series A Series B Series C Series D+

24



U.S. INVESTMENT ACTIVITY BY

DEAL SIZE

• Deal volume continues to be dominated by lower middle market deals with investment sizes below

$100 million through the fourth quarter of 2018

• However, deals with below $100 million check sizes comprised only 7% of all deal volume by

amount of capital invested in the fourth quarter of 2018

Source: PitchBook, *as of December 31, 2018.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2011 2012 2013 2014 2015 2016 2017 2018*

Percentage of Deal Volume by Deal Size (by Count)

$1B-$2.5B

$500M-$1B

$100M-$500M

$25M-$100M

Under $25M

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2011 2012 2013 2014 2015 2016 2017 2018*

Percentage of Deal Volume by Deal Size (by Dollars)

25



PRIVATE CAPITAL DRY POWDER

Source: Preqin, as of December 31, 2018.

• Global private capital dry powder continues to increase, topping $2 trillion across all fund types

• Private equity comprises just under 70% of total dry powder in the market as of Q4 2018

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Private Capital Dry Powder by Fund Type (2009 - Q4 2018)

Private Equity Private Debt Closed-End Private Real Estate Unlsited Infrastructure Unlisted Natural Resources

26



PRIVATE EQUITY - U.S. DEBT

MARKETS

Source: S&P LBO, as of December 31, 2018.

• Loan volume in 2018 increased by approximately $25 billion from the prior year and is on pace to

once again increase year-over-year through the fourth quarter of 2018

• Availability of debt capital has driven up the percentage of debt used to finance leveraged buyouts

of less than $50 million of EBITDA through the fourth quarter of 2018

0

50

100

150

200

250

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Total U.S. LBO Loan Volume ($B) (2006 – 2018)

Pro Rata Institutional

0%

10%

20%

30%

40%

50%

60%

70%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Percentage of Debt Used in LBOs (2006 – 2018)

$50M or more of EBITDA Less than $50M of EBITDA

27



PRIVATE EQUITY - U.S. LBO

PURCHASE PRICE MULTIPLES

• Due to the amount of debt that is readily available, purchase price multiples for U.S. LBOs have

remained consistent through Q4 2018 relative to 2017 levels

Source: S&P LBO, as of December 31, 2018.

8.4x

9.7x

9.1x

7.7x

8.5x8.8x 8.7x 8.8x

9.7x

10.3x10.0x

10.6x 10.6x

0x

2x

4x

6x

8x

10x

12x

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Purchase Price Multiples of U.S. LBO Transactions (2006 - 2018)

Equity/ EBITDA Debt/EBITDA Total

28


Focus on Research – Driven by client interaction and the latest thinking in the industry

Each year, Wilshire hosts an educational conference for clients on important issues and topical ideas.

Investment topics for 2019 include:

• Market & Economic Outlook

• Economic Regimes and the Late Cycle

• International Equity

• Hedge Funds

• Liquidity

• Outsourced CIO

• ESG / SRI

• Defined Contribution Plans

• Private Markets: State of the World

• Active, Passive, and Alternative Beta

• Infrastructure

• Private Credit

• Diverse Managers and New Opportunities within Private Markets


37 th ANNUAL CLIENT CONFERENCES u n d a y, M a r c h 2 4 t h – Tu e s d a y, M a r c h 2 6 t h i n N a p a , C A

T h e E s t a t e Y o u n t v i l l e

N a p a V a l l e y C a l i f o r n i a

29

TOTAL FUND TOTAL FUND


5


Pol icy A l locat ion vs Actua l A l locat ion

Total Assets: $381,534,081

Total Fund CompositeAs of December 31, 2018

Current Policy

Allocation

Proposed Policy

Allocation

Actual Allocation (in

$’000)

US Equity22.5%

Non - US Equity 22.5%

Core Fixed Income25.0%

Private Equity 5.0%

TIPS10.0%

Commodities5.0%

Real Estate 5.0%MLPs

5.0%Cash0.0%

US Equity17.8%

Non - US Equity 17.8%

Core Fixed Income24.5%

Private Equity 5.0%

TIPS5.0%Commodities

5.0%

Real Estate 5.0%

MLPs5.0%

Private Credit5.0%

Global Low Vol Equity10.0%

US Equity$85,63022.4%

Non - US Equity $79,47020.8%

Core Fixed Income

$104,54127.4%

Private Equity $20,110

5.3%

TIPS$31,811

8.3%

Commodities$16,184

4.2%

Real Estate $18,915

5.0%MLPs

$16,7384.4%

Cash$8740.2%

Private Credit$7,2611.9%

31


6


Current Po l icy A l locat ion vs Actua l A l locat ionTotal Fund CompositeAs of December 31, 2018

Actual Current Policy Proposed Policy Variance Current

US Equity $85,630 22.44% 22.50% 17.75% -0.06%

Non - US Equity $79,470 20.83% 22.50% 17.75% -1.67%

Global Low Volatility Equity $0 0.00% 0.00% 10.00% 0.00%

Private Equity $20,110 5.27% 5.00% 5.00% 0.27%

Private Credit $7,261 1.90% 0.00% 5.00% 1.90%

Total Growth Assets $192,471 50.45% 50.00% 55.50% 0.45%

Core Fixed Income $104,541 27.40% 25.00% 24.50% 2.40%

Cash $874 0.23% 0.00% 0.00% 0.23%

Total Diversifying Assets $105,415 27.63% 25.00% 24.50% 2.63%

TIPS $31,811 8.34% 10.00% 5.00% -1.66%

Commodities $16,184 4.24% 5.00% 5.00% -0.76%

Real Estate $18,915 4.96% 5.00% 5.00% -0.04%

MLPs $16,738 4.39% 5.00% 5.00% -0.61%

Total Inflation Hedging Assets $83,648 21.92% 25.00% 20.00% -3.08%

Total Fund Composite $381,534 100.00% 100.00% 100.00% 0.00%

Market Value (in $'000)Asset Allocation

32


7


Proposed Pol icy A l locat ion vs Actua l A l locat ionTotal Fund CompositeAs of December 31, 2018

Actual Proposed Policy Current Policy Variance Proposed

US Equity $85,630 22.44% 17.75% 22.50% 4.69%

Non - US Equity $79,470 20.83% 17.75% 22.50% 3.08%

Global Low Volatility Equity $0 0.00% 10.00% 0.00% -10.00%

Private Equity $20,110 5.27% 5.00% 5.00% 0.27%

Private Credit $7,261 1.90% 5.00% 0.00% -3.10%

Total Growth Assets $192,471 50.45% 55.50% 50.00% -5.05%

Core Fixed Income $104,541 27.40% 24.50% 25.00% 2.90%

Cash $874 0.23% 0.00% 0.00% 0.23%

Total Diversifying Assets $105,415 27.63% 24.50% 25.00% 3.13%

TIPS $31,811 8.34% 5.00% 10.00% 3.34%

Commodities $16,184 4.24% 5.00% 5.00% -0.76%

Real Estate $18,915 4.96% 5.00% 5.00% -0.04%

MLPs $16,738 4.39% 5.00% 5.00% -0.61%

Total Inflation Hedging Assets $83,648 21.92% 20.00% 25.00% 1.92%

Total Fund Composite $381,534 100.00% 100.00% 100.00% 0.00%

Market Value (in $'000)Asset Allocation

33


8


Investment Performance

*Returns are net of fees.

**Policy index = Wilshire 5000 (22.50%), MSCI ACWI ex U.S. (22.50%), Bloomberg Barclays Aggregate (25.00%), Bloomberg Barclays TIPS (10.00%), FTSE EPRA

NAREIT Dev RE (5.00%), Wilshire 5000 +2.5% (5.00%), Bloomberg Commodity Index (5.00%), S&P MLP Index (5.00%)

Total Fund Composite*As of December 31, 2018

Quarter YTD One Year Three Years Five Years Seven Years Ten Years

Total Fund -8.1% -5.8% -5.8% 4.9% 3.9% 7.2% 9.5%

Total Fund Policy** -7.8% -5.9% -5.9% 4.8% 3.4% 6.5% 8.3%

-8.1%

-5.8% -5.8%

4.9%3.9%

7.2%

9.5%

-7.8%-5.9% -5.9%

4.8%3.4%

6.5%8.3%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

34


PERFORMANCE COMPARISONTotal Fund CompositePeriods Ended December 31, 2018

© 2019 Wilshire Associates Inc.

-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

φ 1

φ 1

φ 1

φ 1

φ1

φ 1φ

1

φ

1

Med

75th

95th

25th

5th

φ Total Fund 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

-8.06 (58)-7.77 (54)

-2.43-5.89-7.51-8.97

-10.33150

-6.11 (82)-5.63 (71)

-0.18-3.38-4.85-5.71-7.38

149

-4.47 (75)-4.25 (66)

1.03

-2.22-3.67-4.47-6.16

149

-5.59 (84)-5.85 (88)

1.66

-2.22-4.05-5.07-6.70

147

3.98 (84)3.23 (89)

8.516.285.024.192.22142

5.11 (82)4.78 (86)

8.386.916.175.493.67137

4.14 (79)3.41 (89)

6.645.795.114.502.90131

9.84 ( 7)8.25 (76)

9.919.288.818.276.09119

*TUCS Total Ret of Master Trusts - Public Universe - Gross of Fees 35


PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2018


1 Qtr YTD 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs Incept Date Incept Ret

U.S. Equity Composite

Net of Fee Return D Wilshire 5000

Value Added

Non-U.S. Equity Composite

Net of Fee Return

Policy Benchmark

Value Added

Private Equity Composite

Net of Fee Return

Wilshire 5000 +2.5%

Value Added

Private Credit Composite

Net of Fee Return

S&P LSTA Leverage Loan Index

Value Added

Core Fixed Composite

Net of Fee Return

Bloomberg Aggregate

Value Added

Real Estate Composite

Net of Fee Return

FTSE EPRA/NAREIT Dev (N)

Value Added

-14.84

-14.29

-0.55

-14.48

-11.46

-3.01

5.15

-13.67

18.83

-0.52

-3.45

2.93

1.33

1.64

-0.30

-6.14

-5.69

-0.45

-6.05

-5.27

-0.78

-15.09

-14.20

-0.89

20.04

-2.77

22.81

-0.50

0.01

-0.51

-8.63

-5.63

-2.99

-6.05

-5.27

-0.78

-15.09

-14.20

-0.89

20.04

-2.77

22.81

-0.50

0.01

-0.51

-8.63

-5.63

-2.99

9.20

9.12

0.08

2.91

4.48

-1.56

14.43

11.62

2.80

3.10

2.06

1.05

0.61

2.72

-2.11

8.13

8.07

0.06

1.47

0.68

0.80

13.70

10.57

3.13

3.40

2.52

0.88

2.76

4.34

-1.58

12.80

12.47

0.33

6.04

4.85

1.19

10.48

14.97

-4.50

3.42

2.10

1.32

5.79

7.30

-1.51

14.16

13.20

0.96

7.78

6.57

1.21

6.17

3.48

2.70

9/30/87

9/30/87

9/30/87

6/30/95

6/30/95

6/30/95

6/30/10

6/30/10

6/30/10

9/30/18

9/30/18

9/30/18

9/30/87

9/30/87

9/30/87

6/30/09

6/30/09

6/30/09

8.19

9.17

-0.98

6.72

4.66

2.06

9.37

15.66

-6.29

-0.52

-3.45

2.93

6.53

6.29

0.23

8.25

9.59

-1.33

36





Commodities Composite

Net of Fee Return

DJ UBS Commodity Index

Value Added

MLP Composite

Net of Fee Return

Alerian MLP Index

Value Added

TIPS Composite

Net of Fee Return

Barclays U.S. TIPS

Value Added

Total Real Assets Composite

Net of Fee Return

Policy Index

Value Added

Total Fund

Net of Fee Return

Policy Index

Value Added

-9.81

-9.41

-0.40

-20.62

-17.30

-3.32

-0.58

-0.42

-0.16

-8.07

-6.75

-1.32

-8.11

-7.77

-0.34

-12.33

-11.25

-1.09

-13.54

-10.97

-2.57

-1.63

-1.26

-0.37

-7.75

-5.87

-1.88

-5.82

-5.85

0.02

-12.33

-11.25

-1.09

-13.54

-10.97

-2.57

-1.63

-1.26

-0.37

-7.75

-5.87

-1.88

-5.82

-5.85

0.02

3.23

0.30

2.93

-0.73

0.83

-1.56

1.99

2.11

-0.13

1.32

1.91

-0.59

4.85

4.78

0.07

-7.06

-8.80

1.74

3.88

3.41

0.47

7.19

6.47

0.72

9.54

8.25

1.29

3/31/13

3/31/13

3/31/13

3/31/15

3/31/15

3/31/15

6/30/15

6/30/15

6/30/15

3/31/15

3/31/15

3/31/15

9/30/87

9/30/87

9/30/87

-7.93

-9.11

1.18

-9.58

-9.52

-0.06

1.18

1.29

-0.11

-2.50

-2.13

-0.37

7.35

7.88

-0.53

37


CUSTOM BENCHMARK SPECIFICATIONTotal FundDecember 31, 2018


Quarter Start Quarter End Percent Description

Policy Index 12/79

9/98

12/02

6/06

9/06

9/09

6/10

3/13

6/98

9/02

3/06

6/06

6/09

3/10

12/12

3/15

55.00

40.00

5.00

50.00

40.00

10.00

50.00

35.00

15.00

55.00

30.00

15.00

55.00

30.00

15.00

5.00

15.00

30.00

50.00

5.00

5.00

30.00

15.00

45.00

5.00

5.00

5.00

30.00

15.00

Wilshire 5000

Bloomberg Aggregate

MSCI EAFE Index (N)

Wilshire 5000

Bloomberg Aggregate

MSCI EAFE Index (N)

Wilshire 5000

Bloomberg Aggregate

MSCI EAFE Index (N)

Wilshire 5000

Bloomberg Aggregate

MSCI EAFE Index (N)

Wilshire 5000

Bloomberg Aggregate

MSCI ACWI ex US (N)


MSCI ACWI ex US (N)

Bloomberg Aggregate

Wilshire 5000


Wilshire 5000 + 2.5%

Bloomberg Aggregate

MSCI ACWI ex US (N)

Wilshire 5000


Bloomberg Commodity Index


Bloomberg Aggregate

MSCI ACWI ex US (N)

38


CUSTOM BENCHMARK SPECIFICATIONTotal FundDecember 31, 2018


Quarter Start Quarter End Percent Description

Policy Index (cont.)

6/15 12/18

40.00

22.50

25.00

10.00

5.00

22.50

5.00

5.00

5.00

Wilshire 5000

MSCI ACWI ex US (N)

Bloomberg Aggregate

Bloomberg U.S. TIPS

S&P MLP Index

Wilshire 5000




39

U.S. EQUITY


MANAGER ALLOCATIONU.S. Equity CompositeAs of December 31, 2018


NTAM$53,785,121 62.81%

Wellington$22,024,338 25.72%

PIMCO Stock Plus$9,820,126 11.47%

41


PERFORMANCE COMPARISONU.S. Equity CompositePeriods Ended December 31, 2018


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

1

11

1

Med75th

95th

25th 5th

U.S. Equity Composite 1 Wilshire 5000

5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


-14.80 (55)-14.29 (38)

-12.30-13.80-14.64-15.91-19.44

142

-9.03 (44)-8.06 (23)

-6.07-8.14-9.25

-10.89-15.71

141

-5.15 (40)-4.54 (24)

-2.96-4.59-5.66-8.04

-11.14138

-5.91 (42)-5.27 (33)

-1.25-5.07-6.26-8.68

-12.73134

7.03 (36)7.06 (35)

8.857.396.335.030.89121

9.39 ( 8)9.12 (20)

9.609.008.407.274.13117

8.34 (10)8.07 (17)

8.887.856.926.333.70108

14.43 ( 7)13.20 (43)

14.7313.3613.0912.4610.68

80

*TUCS Total Ret of US Equity Investment Pools Universe - Gross of Fees 42





NTAM

Net of Fee Return

Policy Benchmark

Value Added

PIMCO Stock Plus

Net of Fee Return

Standard & Poor’s 500

Value Added

Wellington

Net of Fee Return

Russell 2000

Value Added

U.S. Equity Composite

Net of Fee Return D Wilshire 5000

Value Added

-13.49

-13.52

0.03

-14.22

-13.52

-0.70

-18.37

-20.20

1.83

-14.84

-14.29

-0.55

-4.38

-4.38

-0.00

-5.33

-4.38

-0.95

-10.50

-11.01

0.52

-6.05

-5.27

-0.78

-4.38

-4.38

-0.00

-5.33

-4.38

-0.95

-10.50

-11.01

0.52

-6.05

-5.27

-0.78

9.25

9.26

-0.01

9.41

9.26

0.15

8.91

7.36

1.55

9.20

9.12

0.08

8.51

8.50

0.01

8.36

8.50

-0.14

6.68

4.41

2.27

8.13

8.07

0.06

12.71

12.70

0.01

13.50

12.70

0.81

13.04

10.44

2.60

12.80

12.47

0.33

13.17

13.12

0.05

15.00

13.12

1.88

16.15

11.97

4.18

14.16

13.20

0.96

9/30/98

9/30/98

9/30/98

9/30/00

9/30/00

9/30/00

9/30/99

9/30/99

9/30/99

9/30/87

9/30/87

9/30/87

6.79

6.79

0.00

5.64

5.15

0.49

10.60

7.57

3.03

8.19

9.17

-0.98

43


INVESTMENT MANAGER ANALYSISNTAMDecember 31, 2018


Cumulative Skill Analysis vs Benchmark

12/14 12/15 12/16 12/17 12/18

-0.20

-0.10

0.00

0.10

0.20

Quarterly NOF Value Added vs. Policy Benchmark 80% Confidence Band

Excess Return:

Excess Risk:

0.01

0.06

Information Ratio:

T-Stat:

0.22

0.48

Value-Added Analysis vs Benchmark

6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.2%

-0.1%

0.0%

0.1%

0.2%

-0.04��-0.02��

0.00��

0.04��0.02��

0.06��

0.00��

0.05��0.04��

0.00��0.00��

-0.02��

-0.05��

0.00��

-0.01��

0.01��

-0.01��-0.01��-0.01��

0.03��

Cumulative Value Added

Quarterly NOF Value Added vs. Policy Benchmark

Performance Comparison vs Peer Universe*

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

11 1

1

Med75th95th

25th

5th

NTAM 1 Policy Benchma

MedianNumber of Funds


-13.48 (36)-13.52 (45)

-13.5491

-6.81 (31)-6.85 (38)

-7.3490

-3.61 (29)-3.65 (34)

-4.0688

-4.34 (42)-4.38 (43)

-4.6288

7.95 (43)7.93 (43)

7.8181

9.30 (40)9.26 (42)

9.1481

8.56 (40)8.50 (46)

8.4379

13.23 (52)13.12 (56)

13.3247

Five Year Risk/Return Analysis vs Peer Universe*

4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

NTAM

Policy Benchmark

Median

1

8.56

8.50

8.43

40

46

9.79

9.80

9.93

51

51

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 44


INVESTMENT MANAGER ANALYSISPIMCO Stock PlusDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Quarterly NOF Value Added vs. Standard & Poor’s 500 80% Confidence Band

Excess Return:

Excess Risk:

-0.13

1.00

Information Ratio:

T-Stat:

-0.13

-0.28


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-1.4%

-1.2%

-1.0%

-0.8%

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.04��

0.14��0.05��

-0.62��

-0.09��-0.15��

-1.29��

-0.04��

-0.31��

0.47��0.44��

0.05��0.20��0.22��0.22��0.20��

-0.28��

-0.11��

0.22��

-0.7��


Quarterly NOF Value Added vs. Standard & Poor’s 500


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

⊕ 1

⊕ 1⊕ 1 ⊕ 1

⊕ 1⊕ 1 ⊕ 1

⊕1

Med75th95th

25th

5th

⊕ PIMCO Stock Pl 1 Standard & Poo



-14.22 (76)-13.52 (45)

-13.5491

-7.42 (62)-6.85 (38)

-7.3490

-4.34 (61)-3.65 (34)

-4.0688

-5.33 (71)-4.38 (43)

-4.6288

7.82 (48)7.93 (43)

7.8181

9.41 (35)9.26 (42)

9.1481

8.36 (52)8.50 (46)

8.4379

15.00 (11)13.12 (56)

13.3247


4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

⊕1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

PIMCO Stock Plus

Standard & Poor’s 500

Median

⊕1

8.36

8.50

8.43

52

46

10.39

9.80

9.93

37

51

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 45


INVESTMENT MANAGER ANALYSISWellingtonDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Quarterly NOF Value Added vs. Russell 2000 80% Confidence Band

Excess Return:

Excess Risk:

2.17

2.48

Information Ratio:

T-Stat:

0.88

1.96


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12.0%

2.23��

0.14��

1.84��

0.18��0.35��

-0.48��

1.23��0.79��

-1.11��

2.01��

-1.47��-0.63��

2.53��

1.65��

0.38��0.50��

-0.89��-1.11��

0.25��

1.83��


Quarterly NOF Value Added vs. Russell 2000


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

1

1

1

1

Med75th95th

25th 5th

Wellington 1 Russell 2000



-18.24 (32)-20.20 (78)

-18.8666

-14.98 (31)-17.35 (56)

-16.8065

-9.20 (17)-10.94 (31)

-11.7965

-9.93 (20)-11.01 (28)

-13.3865

4.43 ( 1)1.00 (43)

0.4664

9.58 (28)7.36 (53)

7.5862

7.37 ( 1)4.41 (65)

4.8960

16.87 ( 1)11.97 (85)

13.1033


10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Wellington

Russell 2000

Median

1

7.37

4.41

4.89

1

65

13.67

14.54

13.56

45

27

*TUCS Total Returns of Small Neutral Equity Portfolios Universe - Gross of Fees 46

NON-U.S. EQUITY


MANAGER ALLOCATIONNon-U.S. Equity CompositeAs of December 31, 2018


Neuberger Berman CIT$52,256,732 65.76%

Harding Loevner$27,213,726 34.24%

48


PERFORMANCE COMPARISONNon-U.S. Equity CompositePeriods Ended December 31, 2018


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

χ

1

χ

1

χ 1χ 1

χ 1 χ 1

χ1

χ1

Med75th95th

25th

5th

χ Non-U.S. Equity Composit 1 Policy Benchmark 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


-14.43 (93)-11.46 (30)

-6.40

-11.21-12.40-12.71-14.75

87

-13.99 (86)-10.84 (26)

-0.97

-10.72-11.83-13.31-15.03

86

-14.55 (54)-13.17 (26)

-1.60

-13.09-14.26-15.50-19.09

84

-14.93 (60)-14.20 (40)

-5.36

-13.68-14.65-15.85-19.78

81

4.28 (55)4.47 (55)

8.625.824.713.442.28

76

3.08 (77)4.48 (43)

7.185.524.453.242.09

75

1.59 (36)0.68 (66)

3.162.041.120.00

-1.1270

8.01 (19)6.57 (77)

10.187.807.026.574.91

49

*TUCS Total Ret of Non-US Equity Investment Pools Universe - Gross of Fees 49





Neuberger Berman CIT

Net of Fee Return

MSCI ACWI ex US (N)

Value Added

Neuberger Composite

Net of Fee Return

MSCI ACWI ex US (N)

Value Added

Harding Loevner

Net of Fee Return

MSCI ACWI X US (N)

Value Added

Non-U.S. Equity Composite

Net of Fee Return

Policy Benchmark

Value Added

-14.11

-11.46

-2.65

-14.11

-11.46

-2.65

-15.17

-11.46

-3.70

-14.48

-11.46

-3.01

-15.67

-14.20

-1.47

-13.90

-14.20

0.30

-15.09

-14.20

-0.89

-15.67

-14.20

-1.47

-13.90

-14.20

0.30

-15.09

-14.20

-0.89

1.98

4.48

-2.50

4.75

4.48

0.28

2.91

4.48

-1.56

1.22

0.68

0.54

1.47

0.68

0.80

5.84

4.85

0.99

6.04

4.85

1.19

7.64

6.57

1.07

7.78

6.57

1.21

6/30/18

6/30/18

6/30/18

6/30/06

6/30/06

6/30/06

3/31/15

3/31/15

3/31/15

6/30/95

6/30/95

6/30/95

-14.80

-10.84

-3.96

2.32

2.65

-0.33

2.08

1.04

1.04

6.72

4.66

2.06

50


INVESTMENT MANAGER ANALYSISNeuberger Berman CITDecember 31, 2018



12/18

-4.5%

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

-1.51��

-2.65��


Quarterly NOF Value Added vs. MSCI ACWI ex US (N)


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

1 1 Med75th

95th

25th

5th

Neuberger Berm 1 MSCI ACWI ex U MedianNumber of Funds


-14.11 (69)-11.46 (42)

-12.43

873

-14.80 (78)-10.84 (39)

-11.90

865

-14.12850

-14.50844

4.80818

4.38787

1.83737

8.39513

*TUCS Total Returns of International Equity Portfolios Universe - Gross of Fees 51


INVESTMENT MANAGER ANALYSISHarding LoevnerDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. MSCI ACWI X US (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.26

3.92

Information Ratio:

T-Stat:

0.07

0.12


6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

-0.07��

0.23��

3.01��

0.40��

1.68��

0.05��

-2.75��

2.21��

0.76��

-0.31��

-1.37��

1.63��1.89��1.08��

-3.7��


Quarterly NOF Value Added vs. MSCI ACWI X US (N)


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

χ1 χ1

χ1 χ1

χ1

χ1

Med75th

95th

25th

5th

χ Harding Loevne 1 MSCI ACWI X US MedianNumber of Funds


-15.04 (80)-11.46 (42)

-12.43

873

-13.41 (68)-10.84 (39)

-11.90

865

-13.93 (47)-13.17 (38)

-14.12

850

-13.43 (36)-14.20 (45)

-14.50

844

5.80 (37)4.47 (55)

4.80818

5.31 (40)4.48 (48)

4.38787

1.83737

8.39513

Three Year Risk/Return Analysis vs Peer Universe*

4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

χ1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Harding Loevner

MSCI ACWI X US (N)

Median

χ1

5.31

4.48

4.38

40

48

13.06

10.95

12.16

33

73

*TUCS Total Returns of International Equity Portfolios Universe - Gross of Fees 52

ALTERNATIVE INVESTMENTS


9


Investment Performance

1TVPI = Fair Value + Capital Distributed / Capital Called

Private PartnershipsAs of December 31, 2018

Amount % Amount %

Private Equity Program

Adams Street Direct 2010 Fund $500,000 April 27, 2010 $473,300 95% $533,965 107% $326,422 1.82 13.64%

Adams Street Non-US Dev. 2010 Fund $1,500,000 April 27, 2010 $1,313,250 88% $915,712 61% $1,025,007 1.48 11.21%

Adams Street Non-US EM 2010 Fund $500,000 January 3, 2011 $449,000 90% $118,384 24% $579,757 1.55 11.04%

Adams Street US 2010 Fund $2,500,000 April 27, 2010 $2,202,500 88% $1,509,367 60% $2,153,501 1.66 13.83%

Adams Street 2013 Global Fund $5,000,000 July 3, 2013 $3,775,000 76% $538,386 11% $4,657,388 1.38 11.23%

Aberdeen Global Partners $5,000,000 January 17, 2012 $4,850,000 97% $1,591,013 32% $5,281,768 1.42 10.69%

Adams Street 2015 Global $6,500,000 September 30, 2015 $4,222,868 65% $825,449 13% $4,568,924 1.28 26.62%

Adams Street 2017 Global $6,000,000 June 17, 2017 $1,853,455 31% $0 0% $1,912,856 1.03 8.43%

Private Equity Composite $27,500,000 April 27, 2010 $19,139,373 70% $6,032,276 22% $20,505,623 1.39 12.64%

Private Credit Managers

Grosvenor Opportunistic Credit V $14,000,000 September 17, 2018 $6,182,525 44% $0 0% $6,165,279 1.00 -

50 South Sponsor Backed Credit $7,000,000 October 4, 2018 $710,111 10% $0 0% $700,000 0.99 -

Private Credit Composite $21,000,000 September 17, 2018 $6,892,636 33% $0 0% $6,865,279 1.00 -

Total Value /

Paid-In Capital 1Annualized

IRR Partnership Commitment Value Inception Date

Capital Called Capital DistributedFair Value

54

CORE FIXED INCOME


MANAGER ALLOCATIONCore Fixed CompositeAs of December 31, 2018


Western Asset Management$52,491,078 50.21%

Baird Advisors$52,049,683 49.79%

56


PERFORMANCE COMPARISONCore Fixed CompositePeriods Ended December 31, 2018


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

1 1 1

1

11

1

1

Med

75th

95th

25th

5th

Core Fixed Composite 1 Bloomberg Aggreg 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


1.36 (23)1.64 (14)

2.561.340.44

-0.69-3.41

137

1.55 (29)1.65 (24)

4.571.640.90

-0.16-1.57

135

0.89 (49)1.49 (35)

5.381.700.86

-0.92-2.55

132

-0.35 (61)0.01 (48)

9.100.99

-0.01-1.55-5.56

126

2.61 (30)1.76 (89)

4.022.932.242.031.54100

3.33 (45)2.06 (88)

6.814.133.222.471.41

95

3.64 (30)2.52 (68)

5.773.852.982.421.88

89

6.43 (14)3.48 (88)

7.885.634.744.153.13

59

*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 57





Baird Advisors

Net of Fee Return

Bloomberg Aggregate

Value Added

Western Asset Management

Net of Fee Return

Bloomberg Aggregate

Value Added

Core Fixed Composite

Net of Fee Return

Bloomberg Aggregate

Value Added

1.56

1.64

-0.08

1.11

1.64

-0.53

1.33

1.64

-0.30

0.13

0.01

0.12

-1.25

0.01

-1.26

-0.50

0.01

-0.51

0.13

0.01

0.12

-1.25

0.01

-1.26

-0.50

0.01

-0.51

2.64

2.06

0.58

3.52

2.06

1.46

3.10

2.06

1.05

3.08

2.52

0.56

3.69

2.52

1.17

3.40

2.52

0.88

2.89

2.10

0.79

3.91

2.10

1.81

3.42

2.10

1.32

4.67

3.48

1.19

7.62

3.48

4.14

6.17

3.48

2.70

3/31/03

3/31/03

3/31/03

3/31/04

3/31/04

3/31/04

9/30/87

9/30/87

9/30/87

4.22

3.85

0.36

4.78

3.75

1.03

6.53

6.29

0.23

58


INVESTMENT MANAGER ANALYSISBaird AdvisorsDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-1.40

-1.20

-1.00

-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band

Excess Return:

Excess Risk:

0.55

0.22

Information Ratio:

T-Stat:

2.50

5.59


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

0.30��0.15��0.19��0.12��0.10��0.13��

0.02��0.04��0.05��

0.31��0.33��0.21��0.21��0.25��

0.02��0.21��

0.10��0.06��0.04��

-0.08��


Quarterly NOF Value Added vs. Bloomberg Aggregate


-4%

-2%

0%

2%

4%

6%

8%

10%

12%

φ1 φ1 φ1

φ1

φ1

φ1

φ1

φ1

Med75th95th

25th 5th

φ Baird Advisors 1 Bloomberg Aggr MedianNumber of Funds


1.61 (27)1.64 (23)

1.08

50

1.73 (17)1.65 (25)

1.44

48

1.68 (21)1.49 (39)

1.46

48

0.35 (31)0.01 (52)

0.04

48

2.39 (40)1.76 (87)

2.33

45

2.86 (47)2.06 (91)

2.84

44

3.30 (25)2.52 (88)

2.89

38

4.90 (41)3.48 (91)

4.65

26


-3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

φ

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Baird Advisors

Bloomberg Aggregate

Median

φ1

3.30

2.52

2.89

25

88

2.97

2.96

3.03

58

58

*TUCS Total Returns of Fixed Income Portfolios - Core Universe - Gross of Fees 59


INVESTMENT MANAGER ANALYSISWestern Asset ManagementDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band

Excess Return:

Excess Risk:

1.14

1.49

Information Ratio:

T-Stat:

0.76

1.71


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

1.22��0.92��

0.23��

-0.46��

0.54��

-0.1��

-1.24��

0.33��

-0.37��

1.28��1.25��

0.55��1.05��1.09��

0.39��0.37��0.23��

-1.15��

0.18��

-0.53��


Quarterly NOF Value Added vs. Bloomberg Aggregate


-4%

-2%

0%

2%

4%

6%

8%

10%

12%

χ1 χ1

χ1

χ1

χ1

χ

1

χ1

χ

1

Med75th95th

25th 5th

χ Western Asset 1 Bloomberg Aggr MedianNumber of Funds


1.11 (47)1.64 (23)

1.08

50

1.38 (52)1.65 (25)

1.44

48

0.13 (79)1.49 (39)

1.46

48

-1.03 (85)0.01 (52)

0.04

48

2.84 (21)1.76 (87)

2.33

45

3.80 (12)2.06 (91)

2.84

44

3.98 (13)2.52 (88)

2.89

38

7.93 ( 9)3.48 (91)

4.65

26


-3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

χ

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Western Asset Management

Bloomberg Aggregate

Median

χ1

3.98

2.52

2.89

13

88

3.42

2.96

3.03

27

58

*TUCS Total Returns of Fixed Income Portfolios - Core Universe - Gross of Fees 60

REAL ESTATE REAL ESTATE


MANAGER ALLOCATIONReal Estate CompositeAs of December 31, 2018


CBRE Clarion$18,915,233 100.00%

62


PERFORMANCE COMPARISONReal Estate CompositePeriods Ended December 31, 2018


-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

1 11

1

1 1 1 Med75th95th

25th 5th

Real Estate Composite 1 FTSE EPRA/NAREIT 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


-5.95 (85)-5.69 (84)

11.692.461.25

-2.12-7.05

113

-6.48 (85)-5.97 (83)

12.624.752.25

-4.43-22.91

118

-3.41 (78)-1.16 (75)

14.996.453.93

-0.87-34.29

116

-7.93 (83)-5.63 (75)

87.8810.297.18

-4.86-38.60

119

1.32 (67)2.05 (67)

36.789.557.05

-0.65-20.71

111

1.37 (77)2.72 (72)

29.6610.207.162.30

-29.55110

3.53 (81)4.34 (80)

30.3614.419.945.25

-15.11105

15.507.946.001.84

-10.4667

*TUCS Total Ret of Real Estate Portfolios Universe - Gross of Fees 63





CBRE Clarion

Net of Fee Return


Value Added

Real Estate Composite

Net of Fee Return


Value Added

-6.14

-5.69

-0.45

-6.14

-5.69

-0.45

-8.63

-5.63

-2.99

-8.63

-5.63

-2.99

-8.63

-5.63

-2.99

-8.63

-5.63

-2.99

0.61

2.72

-2.11

0.61

2.72

-2.11

2.76

4.34

-1.58

2.76

4.34

-1.58

5.79

7.30

-1.51

5.79

7.30

-1.51

6/30/09

6/30/09

6/30/09

6/30/09

6/30/09

6/30/09

8.25

9.59

-1.33

8.25

9.59

-1.33

64


INVESTMENT MANAGER ANALYSISCBRE ClarionDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Quarterly NOF Value Added vs. FTSE EPRA/NAREIT Dev (N) 80% Confidence Band

Excess Return:

Excess Risk:

-1.52

1.38

Information Ratio:

T-Stat:

-1.10

-2.45


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

-0.78��

0.45��

-0.25��-0.23��-0.2��-0.22��

0.06��

-0.24��

-0.85��

-1.62��

-0.34��-0.53��-1.03��

0.25��

-0.34��

1.46��

-0.34��

-2.02��

-0.45��-0.45��


Quarterly NOF Value Added vs. FTSE EPRA/NAREIT Dev (N)


-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

1 11

11 1 1 Med

75th95th

25th 5th

CBRE Clarion 1 FTSE EPRA/NARE MedianNumber of Funds


-5.95 (85)-5.69 (84)

1.25113

-6.48 (85)-5.97 (83)

2.25118

-3.41 (78)-1.16 (75)

3.93116

-7.93 (83)-5.63 (75)

7.18119

1.32 (67)2.05 (67)

7.05111

1.37 (77)2.72 (72)

7.16110

3.53 (81)4.34 (80)

9.94105

6.0067


-20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

CBRE Clarion


Median

1

3.53

4.34

9.94

81

80

9.14

9.07

7.19

36

37

*TUCS Total Returns of Real Estate Portfolios Universe - Gross of Fees 65

COMMODITIES COMMODITIES


MANAGER ALLOCATIONCommodities CompositeAs of December 31, 2018


Wellington Commodities$16,183,501 100.00%

67





Wellington Commodities

Net of Fee Return


Value Added

Commodities Composite

Net of Fee Return

DJ UBS Commodity Index

Value Added

-9.99

-9.41

-0.58

-9.81

-9.41

-0.40

-12.50

-11.25

-1.26

-12.33

-11.25

-1.09

-12.50

-11.25

-1.26

-12.33

-11.25

-1.09

3.16

0.30

2.86

3.23

0.30

2.93

-7.10

-8.80

1.71

-7.06

-8.80

1.74

3/31/13

3/31/13

3/31/13

3/31/13

3/31/13

3/31/13

-7.96

-9.11

1.15

-7.93

-9.11

1.18

68


INVESTMENT MANAGER ANALYSISWellington CommoditiesDecember 31, 2018



12/13 12/14 12/15 12/16 12/17 12/18

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

Quarterly NOF Value Added vs. Bloomberg Commodity Index 80% Confidence Band

Excess Return:

Excess Risk:

1.26

4.32

Information Ratio:

T-Stat:

0.29

0.65


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

-3.63��

3.55��3.03��

-0.06��

1.00��

-2.68��

0.45��

-1.34��

2.78��

-2.35��

3.12��

-0.96��

2.44��

-0.82��

2.86��2.79��

-0.44��

0.90��

-1.21��-0.58��


Quarterly NOF Value Added vs. Bloomberg Commodity Index

69

MLP MLP


MANAGER ALLOCATIONMLP CompositeAs of December 31, 2018


Harvest MLP$16,738,478 100.00%

71





Harvest MLP

Net of Fee Return

Alerian MLP Index

Value Added

MLP Composite

Net of Fee Return

Alerian MLP Index

Value Added

-20.79

-17.30

-3.50

-20.62

-17.30

-3.32

-13.73

-10.97

-2.76

-13.54

-10.97

-2.57

-13.73

-10.97

-2.76

-13.54

-10.97

-2.57

-0.80

0.83

-1.63

-0.73

0.83

-1.56

3/31/15

3/31/15

3/31/15

3/31/15

3/31/15

3/31/15

-9.64

-9.52

-0.12

-9.58

-9.52

-0.06

72


INVESTMENT MANAGER ANALYSISHarvest MLPDecember 31, 2018



6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Quarterly NOF Value Added vs. Alerian MLP Index 80% Confidence Band

Excess Return:

Excess Risk:

-0.13

3.38

Information Ratio:

T-Stat:

-0.04

-0.07


6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

2.44��

0.07��

1.68��

0.90��

-2.5��

1.27��

-1.79��

0.57��

-0.56��

0.10��

-0.17��

1.13��

0.43��

-0.49��

-3.5��


Quarterly NOF Value Added vs. Alerian MLP Index

73

TIPS TIPS


MANAGER ALLOCATIONTIPS CompositeAs of December 31, 2018


Brown Brothers Harriman$31,811,478 100.00%

75





Brown Brothers Harriman

Net of Fee Return

Barclays U.S. TIPS

Value Added

TIPS Composite

Net of Fee Return

Barclays U.S. TIPS

Value Added

-0.58

-0.42

-0.16

-0.58

-0.42

-0.16

-1.63

-1.26

-0.37

-1.63

-1.26

-0.37

-1.63

-1.26

-0.37

-1.63

-1.26

-0.37

1.99

2.11

-0.13

1.99

2.11

-0.13

6/30/15

6/30/15

6/30/15

6/30/15

6/30/15

6/30/15

1.18

1.29

-0.11

1.18

1.29

-0.11

76


INVESTMENT MANAGER ANALYSISBrown Brothers HarrimanDecember 31, 2018



9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-0.80

-0.60

-0.40

-0.20

-0.00

0.20

0.40

0.60

0.80

Quarterly NOF Value Added vs. Barclays U.S. TIPS 80% Confidence Band

Excess Return:

Excess Risk:

-0.11

0.21

Information Ratio:

T-Stat:

-0.51

-0.89


12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

-0.13��

0.12��0.08��

-0.05��

0.01��

0.15��

-0.02��

-0.08��

-0.13��

0.04��

-0.01��

-0.2��

0.01��

-0.16��


Quarterly NOF Value Added vs. Barclays U.S. TIPS


-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

⊗ 1

⊗ 1⊗ 1

⊗ 1

⊗ 1

⊗ 1

Med75th95th

25th 5th

⊗ Brown Brothers 1 Barclays U.S. MedianNumber of Funds


-0.58 (74)-0.42 (49)

-0.43

32

-1.39 (78)-1.24 (59)

-1.24

32

-0.83 (93)-0.48 (59)

-0.45

32

-1.63 (90)-1.26 (71)

-1.15

32

0.57 (96)0.85 (77)

0.95

31

1.99 (73)2.11 (63)

2.21

30

1.7230

3.6725

*Compass Total Returns of Active TIPS Portfolios Universe - Gross of Fees 77

APPENDIX


15


GlossaryCumulative Skill Graph

Data Source: Wilshire Compass79

WILSHIRE ASSOCIATES

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